Time effectsis a testament to the low efficiency of the market. Moreover the existence of time effects allows market participants to extract additional return without increasing the risk of their portfolio. The purpose of the article in the definition of time effects on the Russian stock market and an analysis of their sustainability. Based on these results it will be possible to draw a conclusion about the effectiveness of the Russian stock market and identify investment opportunities.
The general issues of determining the liquidation value are discussed, such as the choice of market liquidity risk model and the choice of a price benchmark for estimating transaction costs. The layout for the portfolio management process is proposed which is grounded on a previously developed approach to determining the liquidation value of a portfolio. It allows not only defining and linking the rational liquidation strategies for different time horizons but also considering some microstructural effects, such as volatility momentum, corresponding to the intervals between trading sessions.
The article is devoted to the income coming into the budget from the sale of public property, including those sold as a result of privatization. Author consistently examined the arguments for and against the alienation of public property to generate public revenue, and concluded that the main cause of privatization and other public sale of property cannot be income itself. This task is a secondary and optional, as opposed to political or other purposes. Author characterized privatization income, and made the classification of revenues from the sale of public property.
Establishing a spending budget is predetermined content already adopted and existing regulations that established the obligation to pay certain sums. This is consistent with the current domestic budget legislation, which in the framework of the reform of the budget process introduced the concept of expenditure commitments
Problems encountered by the global banking sector nowadays are not a mere consequence of the unfavorable macroeconomic trends. Those difficulties confirm that a heavy burden of the structural disbalances have been accumulated by the banking industry. In order to solve this puzzle a deep transformation of the sector is essential. Institutional differences of financial structures in the leading economies (anglosaxon, continental European, BRIC’s) have reflected themselves again during the global crisis. A variety of measures intended to support banks and to strengthen their supervision were undertaken both at national and supranational levels. However new norms of regulation are, in their turn, suppressing banking profitability and, to some extent, are hindering the way to sustainability. Banks have to adapt to new economic and legal environment, they need to find new spheres of business and rethink their corporate strategies in order to become profitable again.
We suggest an econometric model of probability of default based on regular financial disclosures of Russian banks. We also suggest a quantization of the continuous explanatory variables that allows to account for non-linear effects and to achieve superior accuracy compared with regression tree and Bayesian network models estimated over the same sample. The econometric estimates of probability of default are broadly consistent with the historical default frequencies of rated obligors and risk-neutral probabilities of default inferred from credit spreads in a reduced-form model.
In this paper we analyze what are the channels of exchange rate dynamics effect on corporate bond yield spread. Under the uncovered interest rate parity (UIP) exchange rate level and interest rates are linked so that the yields in two countries are equal. There is an evidence in literature that exchange rate volatility also plays an important role in economic output, but our investigation argue that it is also a key factor in interest rate analysis. Scenario, graphic and regression analysis shows that exchange rate level influence the risk-free yield (government bond yield) while the volatility of exchange rate affect risky corporate bond yield. So that exchange rate volatility has a positive effect on corporate bond yield spread and the hypothesis is that this effect is realized via default risk inflation. One of the most efficient credit risk models are reduced-form models, in particular the Duffie-Singleton model . When calibrating to real market data and incorporating exchange rate volatility in the model it argues that the greater the volatility of exchange rate, the greater the risk of default. The contribution of our paper to the literature is that it states the dual nature of exchange rate dynamics impact on corporate bond yield spread via the level and volatility, the latter affecting through the rising default risk.
The main question in emerging markets corporate bond spread analysis remains the origin of systematic shocks. Usually authors don’t pay enough attention to this source of risk and simply declare it as systematic just because their models cannot explain the full spread. Here we propose an alternative approach based on volatility parameters: VIX as global factor (controlling for risk aversion) and exchange rate volatility (as internal systematic factor). Econometric analysis shows that about 47% of spread can be explained by model and these factors can be viewed as base sources of systematic shocks on corporate bond emerging markets.
China's domestic macroeconomic disequilibria contributed heavily to the global disbalances which resulted in the global financial crisis. Extremely high rates of saving and investment, along with the huge trade surplus of China, are a mirrow reflection of the US economic problems, such as the negative gross saving rate, overdependence on consumer demand for economic growth, trade deficit and hefty inflows of foreign capital. China's economic cycle broke even in late 2007 - early 2008, and it was aggravated with the recession in the developed countries. Hence unprecedented economic difficulties of China's economy, never seen for the preceeding periods of the reforms. China's governmental stabilization policy was up to the mark, and the economy has accelerated again. But the deepening of institutional reforms is essential for an economic growth to harmonise.